Breaking Down TRACE Volumes Further
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Other versions of this item:
- Doug Brain & Michiel De Pooter & Dobrislav Dobrev & Michael J. Fleming & Peter Johansson & Frank M. Keane & Michael Puglia & Tony Rodrigues & Or Shachar, 2018. "Breaking Down TRACE Volumes Further," FEDS Notes 2018-11-29, Board of Governors of the Federal Reserve System (U.S.).
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Cited by:
- Darrell Duffie & Michael J. Fleming & Frank M. Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023.
"Dealer Capacity and U.S. Treasury Market Functionality,"
Staff Reports
1070, Federal Reserve Bank of New York.
- Darrell Duffie & Michael Fleming & Frank Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer capacity and US Treasury market functionality," BIS Working Papers 1138, Bank for International Settlements.
- Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020.
"Intraday market making with overnight inventory costs,"
Journal of Financial Markets, Elsevier, vol. 50(C).
- Tobias Adrian & Agostino Capponi & Michael J. Fleming & Erik Vogt & Hongzhong Zhang, 2016. "Intraday market making with overnight inventory costs," Staff Reports 799, Federal Reserve Bank of New York.
- Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2017. "Intraday Market Making with Overnight Inventory Costs," CEPR Discussion Papers 12245, C.E.P.R. Discussion Papers.
- Michael J. Fleming & Frank M. Keane, 2021. "The Netting Efficiencies of Marketwide Central Clearing," Staff Reports 964, Federal Reserve Bank of New York.
- Broto, Carmen & Lamas, Matías, 2020.
"Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries,"
Economic Modelling, Elsevier, vol. 93(C), pages 217-229.
- Carmen Broto & Matías Lamas, 2019. "Is market liquidity less resilient after the financial crisis? Evidence for us treasuries," Working Papers 1917, Banco de España.
- James Collin Harkrader & Michael Puglia, 2020. "Price Discovery in the U.S. Treasury Cash Market: On Principal Trading Firms and Dealers," Finance and Economics Discussion Series 2020-096, Board of Governors of the Federal Reserve System (U.S.).
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Keywords
trading volume; U.S. Treasury; Trade Reporting and Compliance Engine;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
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